Volatility Modelling Masterclass

Volatility Modelling Masterclass

Volatility Modelling Masterclass

Led by: Julien Guyon, Senior Quant, BLOOMBERG, Adjunct Professor, COLUMBIA UNIVERSITY, Courant Institute of Mathematical Sciences, NYU

The workshop will cover:

  • The different types of volatility
  • The different types of volatility derivatives
  • The volatility smile
  • From spot volatility to implied volatility
  • Volatility modelling: A brief history
  • Static vs dynamic properties of volatility models
  • Black-Scholes, P&L analysis
  • Local volatility
  • Stochastic volatilit
  • Local stochastic volatility
  • Path-dependent volatility
  • Variance curve models
  • The smile of variance curve models
  • Rough volatility
  • The particle method for smile calibration
  • Multi-asset volatility modelling: Local volatility, stochastic volatility, cross-dependent volatility